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The objectives of the study were to evaluate the relationship between sleep quality, depression, and hopelessness in advanced cancer patients and whether sleep quality mediated the effect of depression on hopelessness. The final sample consisted of 102 advanced cancer patients under palliative treatment. Patients completed the Greek Pittsburgh Sleep Quality Index, a sleep quality instrument, the Greek Beck Depression Inventory for measuring depression, and finally the Beck Hopelessness Scale. Patients' performance status was assessed by their overall physical functioning, as defined by the Eastern Cooperative Oncology Group. Depression was highly associated with hopelessness (r = .52, p<.001). Statistically significant associations were found between sleep quality with hopelessness (r = .37, p<.001), as well as with depression (r = .36, p<.001). Mediation analyses indicated that depression influenced hopelessness directly as well as indirectly by its effect on sleep quality. About 14.58% of the variation in hopelessness was explained by depression; 4% of the variance in hopelessness explained by depression was accounted for by the mediation pathway indicating that sleep quality mediated the relationship between depression and hopelessness. Similarly, in the reverse mediation analysis, depression mediated the relationship between sleep quality and hopelessness; 43% of the variation in hopelessness was explained by sleep quality. In conclusion, some of the effect of depression on hopelessness was mediated by sleep quality, but depression had a direct effect on hopelessness as well. Additionally, some of the effect of sleep quality on hopelessness was mediated by depression. The current findings are important because improving sleep quality by treating depression may contribute to decreased hopelessness scores and vice versa: Treating depression by improving sleep quality may also contribute to lower hopelessness scores.